Fractal Analysis of Currency Market: Hurst Index as an Indicator of Abnormal Events
نویسندگان
چکیده
The article is devoted to analysis of currency quotes behavior on the currency market by defining dynamic changes over time. The main tool of fractal analysis is the Hurst under the hypothesis of fractal market. For 17 major currency pairs on closing prices and the prices maximum-minimum the Hurst index is calculated by formula for the adjusted R/S analysis. Values at the currency markets of different countries in different economic conditions are compared during 2008-2015. For currency pairs Hurst index tends to maintain its average value in stable economic situation, while it is an indicator of events affecting directly or indirectly on the state's economy and the rate of its national currency. Application of sliding window method allows to simulate the dynamics of Hurst index for the currency pairs USD/JPY, GBP/JPY, EUR/USD, GBP/USD and establish certain patterns of conduct series of quotes due to appropriate reaction to economic, political and natural disturbances.
منابع مشابه
An Analysis of Fractal Properties in the Iranian Exchange Rate Behavior
The behavior of exchange rate in various exchange markets is not seemingly predictable, while there are different forecasting methods to do so. One of these methods is to use fractals to identify exchange rate behavior. This paper has made attempts to explore the properties of fractals in Iranâs exchange market in order to it can predict and analyze the trend of exchange rate. Accordingly, th...
متن کاملEmpirical Analysis of the Fractal Features Analysis on London Gold Futures Market
In this paper, we study the fractal characteristics of the futures market. We take the empirical study on London Gold Futures yield by Rescaled Range Analysis, analyzing the fractal characteristics of the futures market. We further determine fractal characteristics and the structure of the nonlinear time series through random disturb the original time series observation sequence. The result of ...
متن کاملMultiFractality in Foreign Currency Markets
The standard hypothesis concerning the behavior of asset returns states that they follow a random walk in discrete time or a Brownian motion in continuous time. The Brownian motion process is characterized by a quantity, called the Hurst exponent, which is related to some fractal aspects of the process itself. For a standard Brownian motion (sBm) this exponent is equal to 0.5. Several empirical...
متن کاملThe Local Fractal Properties of the Financial Time Series on the Polish Stock Exchange Market
We investigate the local fractal properties of the financial time series based on the evolution of the Warsaw Stock Exchange Index (WIG) connected with the largest developing financial market in Europe. Calculating the local Hurst exponent for the WIG time series we find an interesting dependence between the behavior of the local fractal properties of the WIG time series and the crashes appeara...
متن کاملTesting Efficiency of an Arbitrage in Foreign Exchange Market (Forex): Simultaneous Ordering of Three Major Currency Pairs
In searching a market-neutral arbitrage strategy in forex market, we took a portfolio of three major currency pairs, EUR-USD, USD-JPY, and EUR-JPY. There are eight approaches, different cases of short and long positions; for example buying 1st and selling two others, etc. Historical daily FX rates were gathered since January 1990 until February 2011. Monthly covariances between daily growth rat...
متن کامل